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st: Calculate the average bid-ask spread for each centile


From   emanuele canegrati <emanuele.canegrati@hotmail.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Calculate the average bid-ask spread for each centile
Date   Fri, 27 Mar 2009 11:45:46 +0100

Dear users,
 
I have a time series of bid-ask spreads, grouped in centiles, with respect to trading time. Now I want to calculate the average spread for each centile. The structure of data is the following
 
day          spread   hhmmss  centile
20080602     xxxx     090302   1
20080602     xxxx     090510   1
...
20080602     xxxx     100408   2
20080602     xxxx     100908   2
...
20080602     xxxx     160007   100
20080602     xxxx     160107   100
...
20080603     xxxx     090302   1
20080603     xxxx     090510   1
...
20080603     xxxx     100408   2
20080603     xxxx     100908   2
...
20080603     xxxx     160007   100
20080603     xxxx     160107   100
...
 
What is the loop I have to write?
 
Thank You,
 
Emanuele Canegrati, Ph.D.
 
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